Methodology
Search…
⌃K

# Vinter 21Shares Crypto Indexes

Index Methodology
This document is optimized for an online viewing, it is therefore recommended to consult it here.

## Introduction

The Vinter 21Shares Crypto Indexes are a family of benchmarks, owned by 21Shares. The indexes are developed to provide a rule-based and transparent way to track the value of a portfolio. Each index measures the value of an investment strategy.
This methodology clearly determines what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodology takes into account factors like the size and liquidity of the market, the transparency of trading, the positions of market participants, market concentration, and the adequacy of any sample to represent the market or economic reality that the benchmark is intended to measure.
21Shares AG ("21Shares") makes investing in crypto assets as easy as buying shares using your conventional broker or bank. Founded in 2018, 21Shares is led by a team of talented serial entrepreneurs and experienced banking professionals from the technology and financial world. Incorporated in Zug, with offices in Zurich and New York, the company has launched several world firsts, including the first listed crypto basket index ETP in November 2018. Learn more at 21shares.com
Invierno AB ("Vinter") is a pioneering index provider specialized in crypto assets, playing a key role in the emerging crypto ETF industry. The firm collects digital asset data from hundreds of sources, transforming proprietary strategies into investable products. Learn more at vinter.co

## Indexes

### HODLV

The Vinter 21Shares Crypto Basket Equal Weight Index ("HODLV") contains the five largest crypto assets, all weighted equally. HODLV is a mean-reversion strategy since assets are weighted equally and rebalanced quarterly.
Construction
• Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
• Asset selection: Top 5 by 90 days average market capitalization.
• Rebalance weights: Equal weighted.
• Rebalanced: Quarterly, starting end of January.
• Rationale: Invests in the largest assets with a mean reversion strategy; gains are realized at every rebalancing, and underperforming assets are bought.
Details
• Currency: USD
• Type: Price return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares Crypto Basket Equal Weight Index
• Short name: HODLV
• ISIN: SE0016830608
• FIGI: BBG012MV86K7
• Bloomberg: HODLV
• Refinitiv: .HODLV
• Vinter API: vntw-hodlv-5-d

### HODLX

The Vinter 21Shares Crypto Basket 10 Index ("HODLX") is a passive index capturing the crypto asset market. It offers a diversified exposure to the ten largest crypto assets. HODLX is a buy-and-hold strategy for passive investors. The index is rebalanced quarterly.
Construction
• Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
• Asset selection: Top 10 by 90 days average market capitalization.
• Rebalance weights: Current market capitalization.
• Rebalanced: Quarterly, starting end of January.
• Rationale: A passive index capturing the crypto market.
Details
• Currency: USD
• Type: Price return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares Crypto Basket 10 Index
• Short name: HODLX
• ISIN: SE0016830590
• FIGI: BBG012MV85F5
• Bloomberg: HODLX
• Refinitiv: .HODLX
• Vinter API: vntw-hodlx-10-d

### ALTS

The Vinter 21Shares Crypto Mid-Cap Index ("ALTS") is a passive index capturing the mid-cap portion of the crypto asset market. The index offers diversified exposure to the largest crypto assets but excludes the number one and two ranked crypto assets by market capitalization, resulting in a substantially larger weight in the remaining eight constituents.
Construction
• Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
• Asset selection: Eight assets ranked 3-10 by 90 days average market capitalization (i.e., select the top 10 and then exclude the two largest assets).
• Rebalance weights: Current market capitalization.
• Rebalanced: Quarterly, starting end of January.
• Rationale: Capture the mid-cap crypto assets by starting with a top 10 index and then excluding the two largest assets.
Details
• Currency: USD
• Type: Price return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares Crypto Mid-Cap Index
• Short name: ALTS
• ISIN: SE0017132293
• FIGI: BBG013PZ2Z34
• Bloomberg: ALTS
• Refinitiv: .ALTS
• Vinter API: vntw-alts-8-d

### LAYER1

The Vinter 21Shares Crypto Layer 1 Index (“LAYER1”) invests in the largest layer 1 blockchain assets. The weights are proportional to market capitalization, capped at 30% per asset to promote diversification.
Construction
• Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
• Asset selection: Up to top ten layer-1 crypto assets by 90-day average market capitalization.
• Rebalancing weights: Current market capitalization, capped at 30%. If a cap is enforced, the weight is spread proportionally across the non-capped assets.
• Rebalanced: Quarterly, starting end of January.
• Rationale: Invest in the largest layer 1 crypto assets, as these blockchains provide the technical foundations for the entire crypto market.
Details
• Currency: USD
• Type: Price return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares Crypto Layer 1 Index
• Short name: LAYER1
• ISIN: SE0017937055
• FIGI: BBG017CKG8X4
• Bloomberg: LAYER1
• Refinitiv: .LAYER1
• Vinter API: vntw-lay1-10-d

### DEFII

The Vinter 21Shares DeFi 10 Infrastructure Index (“DEFII”) includes both the decentralized applications and their underlying blockchains in the decentralized finance (“DeFi”) category. DeFi is a general term for permissionless financial services. Users of decentralized apps (“dApps”) can borrow, lend, trade derivatives, swap assets and perform other financial services - without permission, paperwork or a trusted third party.
Construction
• Asset universe: Eligible constituents in the DeFi category.
• Asset selection: First, select up to five assets in the DeFi dApps category. Second, select up to five assets in the DeFi blockchain category. In both steps, select the top assets by 90-day average market capitalization.
• Rebalancing weights: 50% DeFi dApps and 50% DeFi blockchains, then market cap weighted within each set.
• Rebalanced: Quarterly, starting end of January.
• Rationale: A thematic index riding on the decentralized finance wave, that invests in the largest decentralized applications and blockchains.
Details
• Currency: USD
• Type: Price return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares DeFi 10 Infrastructure Index
• Short name: DEFII
• ISIN: SE0018013120
• FIGI: BBG016XC7JR4
• Bloomberg: DEFII
• Refinitiv: .DEFII
• Vinter API: vntw-defii-10-d

### STAKE

The Vinter 21Shares Crypto Staking Index (“STAKE”) includes the largest crypto assets with support for staking. All constituents are staked, and the yield generated from staking is incorporated into the index returns. The staking yield is not fixed but floating, meaning that higher staking yields will translate into a better return on investment. This is a total return index where investors will reap the rewards from staking.
Construction
• Asset universe: All eligible constituents with institutional support for staking. At inception, the eligible assets are ADA, XTZ, SOL, BNB, DOT, and ATOM.
• Asset selection: Select up to ten of the largest assets by current market capitalization.
• Rebalancing weights: Proportional to the current market capitalization.
• Rebalanced: Semi-annually at the end of March and September.
• Rationale: Proof-of-stake assets offer the possibility of enhanced returns through staking. All constituents are staked, and the yield generated from staking is incorporated into the index returns. This is a total return index where investors will reap the rewards from staking, as opposed to receiving a fixed yield. It is similar to a total return equity index where investors reap the rewards from stock dividends.
Details
• Currency: USD
• Type: Total return
• Base date: 2021-01-01
• Base value: 1000.00
• Dissemination: Daily
Identifiers
• Long name: Vinter 21Shares Crypto Staking Index
• Short name: STAKE
• ISIN: SE0019354069
• FIGI: BBG01BCCWP03
• Bloomberg: STAKE
• Refinitiv: .STAKE
• Vinter API: vntw-stake-10-d

## General Construction Parameters

### Asset Universe

The default asset universe consists of all eligible constituents. It is possible to restrict the universe to certain categories of assets.

### Asset Selection

The index constituents are selected from the asset universe. The selection process can be based on a number of factors such as returns, volatility, market capitalization, trading volume, or a combination thereof.
Assets are selected on the review date, which is five business days prior to the rebalancing date.
The default asset selection criteria is to include the largest assets as determined by market capitalization.
If it is not possible to reach the intended number of constituents, the Index Committee can decide to either include non-eligible constituents or allow the index to have fewer constituents than intended. The decision shall be made publicly available.

### Rebalance Weights

Rebalance weights are calculated on the review date, which is five business days prior to the rebalancing date.
The current weights per asset display the current asset allocation, and is relevant for an ETF creation/redemption. The current weights changes every day, based on price movements, whereas the rebalance weights are unchanged between rebalances. The rebalance weights are updated only when the index is rebalanced.
The weight for each asset is always between 0 and 1. The sum of all constituent weights is equal to 100%.

### Rebalancing

All indexes are rebalanced periodically, with the rebalancing date set to the last business day of the month. A business day is a day when the SIX stock exchange is open for trading (this calendar choice only affects the rebalancing date and the review date).
Rebalancing involves selection of constituents and calculation of their rebalancing weights. Calculations are done using the closing prices on the rebalancing date. The new weights per asset are used on the opening of the day after rebalancing. After the rebalance, the portfolio is updated so that its current weights per asset equal the rebalancing weights per asset. The bigger the difference between the current weight and the rebalancing weight, the larger the portfolio turnover.

## Eligible Constituents

Assets are eligible as index constituents if they meet the eligibility criteria listed in Vinter’s benchmark statement.

## Calculation

The index value is given by the weighted sum over all constituents of quantity times price divided by a divisor.
The price per asset is calculated by Vinter reference rates, as detailed in a separate section below.
The quantity per asset is set to the Rebalancing Weight per asset after rebalancing. In a price return index the quantity per asset is unchanged between rebalances.
The divisor enforces index continuity on rebalancing. The divisor is defined so that the index starts at a certain start value, which ensures each index tracks the value of a certain amount of capital invested on the start date.

## Staking

In a price return index the quantity per asset is unchanged between rebalances, whereas in a total return index the quantity per asset is updated daily. The quantity per asset tomorrow is given by today’s quantity plus the quantity generated from staking. We use this quantity to calculate the index value using Vinter’s reference rates and the standard formula described in the section Calculation. The three key variables in a total return index are
• $Y$
: Yield,
• $Q$
: Quantity, and
• $U$
: Utilization rate.
Using informal notation, we can say that the index stakes the quantity
$Q*U$
, which increases the quantity per asset with
$Y*Q*U$
. More formally, the daily quantity increase of an asset
$i$
between day
$t$
and day
$t+1$
is given by
$Q_i (t+1)-Q_i (t) = Y_i (t). Q_i (r).U_i (t)$
where
$Y_i(t)$
is the daily staking yield,
$U_i(t)$
is the utilization rate,
$Q_i(r)$
is the quantity, and
$r$
is the most recent rebalancing date on day
$t$
. Notice there is no compounding as
$Q_i(r)$
is unchanged between rebalances.
The yield per asset is calculated as the median of readily available yield estimates from selected staking providers. The median is robust against fluctuations in yield values, and is a representative measure of the market yield for a typical investor. There is a natural lag in the calculation, where the data used to calculate the yield on a certain day must be in the database the previous day for validation purposes.
The utilization rate per asset can be thought of as the percentage of the assets under management that is staked. The rate is determined based on factors including lock up periods and liquidity and ranges between 0% and 100%. The rate is set on the day of rebalancing and is constant between rebalancing dates. Prior to a rebalance, all staked assets are unwound for a brief period. No yield is generated during this period, and the utilization rate is set to zero. The duration of this period depends per asset, based on the lockup period for each asset.
As of 2022-11-01 the utilization rate and the unstaking period is set to
• 100% and 0 days for ADA,
• 100% and 0 days for XTZ,
• 80% and 4 days for SOL,
• 80% and 7 days for BNB,
• 60% and 28 days for DOT, and
• 60% and 21 days for ATOM.

## Constituent Pricing

The Vinter daily fixing ("VFIX") at 4 pm London time (5 pm Zurich time) is used to price assets. The algorithm is described in Vinter's Reference Rates.
The Benchmark Statement defines the eligibility criteria for input data.

## Market Capitalization

The market capitalization is given by price times circulating supply. For Proof-of-Work crypto assets, a block explorer is used to get the circulating supply. For crypto assets issued on smart contract platforms, such as ERC20 issued on Ethereum, the circulating supply is calculated by starting with the total supply and removing the locked tokens e.g. those held by the founding organization.
If the above is insufficient or inapplicable to determine the circulating supply, other readily available data sources determined by the Company's Product Maintenance Department might be considered.

## Index Provider

Invierno AB, Reg. No. 559207-4172, Box 5193, 10244 Stockholm, Sweden (“Vinter”)

Vinter is the benchmark administrator and the central recipient of input data with the ability to evaluate the integrity and accuracy of input data on a consistent basis. Vinter is responsible for the development of the index and controls all aspects of the provision of the benchmark. Vinter has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest. The European Securities and Markets Authority has included Invierno AB in its register of Benchmark Administrators approved to carry on the regulated activity of administering a benchmark.

### Calculation Agent

Vinter is the calculation agent and is responsible for determining the value of the index described in the index methodology. Vinter calculates the index values in accordance with the index methodology. Upon the request of the benchmark administrator, the calculation agent shall provide all information available on the composition and details of the calculation of the requested index.

## Roles

• Index owner: 21Shares
• Calculation agent: Vinter